【摘要】：ETF,即交易型開(kāi)放式指數(shù)基金,集合了開(kāi)放式基金、封閉式基金以及傳統(tǒng)指數(shù)基金的優(yōu)點(diǎn)。投資者既可以在一級(jí)市場(chǎng)上申購(gòu)或者贖回ETF份額,也可以在二級(jí)市場(chǎng)上買(mǎi)賣(mài)ETF份額。由于同時(shí)存在二級(jí)市場(chǎng)買(mǎi)賣(mài)交易和申購(gòu)贖回機(jī)制,投資者可以在ETF二級(jí)市場(chǎng)交易價(jià)格與基金單位凈值之間存在差價(jià)時(shí)進(jìn)行套利交易。套利機(jī)制的存在,使得ETF能夠避免封閉式基金普遍存在的折價(jià)問(wèn)題。ETF通常追蹤特定指數(shù),與傳統(tǒng)指數(shù)基金相比,有更小的追蹤誤差。此外ETF還具有強(qiáng)流動(dòng)性、高透明度、成本低廉和交易靈活等優(yōu)勢(shì),被認(rèn)為是過(guò)去十幾年中最重要的金融創(chuàng)新之一 本文主要由四部分內(nèi)容以及一個(gè)總結(jié)組成,其框架和內(nèi)容如下： 第一部分,主要介紹本文的選題背景,研究意義,國(guó)內(nèi)外文獻(xiàn)綜述以及本文的創(chuàng)新和不足。從國(guó)際看,上世紀(jì)八十年代后期,投資界提出了交易型開(kāi)放式指數(shù)基金,即ETF的產(chǎn)品構(gòu)想。1989年,在加拿大多倫多股票交易所誕生了全球第一支ETF基金。1993年1月,美國(guó)市場(chǎng)上第一只ETF—SPDRs成功發(fā)行,并在紐交所掛牌交易。初期的ETF產(chǎn)品種類(lèi)比較單一,制度設(shè)計(jì)不夠完善,未能被投資者廣泛接受,所以在最初的時(shí)間里發(fā)展比較緩慢。但是進(jìn)入21世紀(jì)以后,ETF在全球得到飛躍式的發(fā)展。截至2011年8月底,全球跟蹤股票、固定收益、大宗商品及其指數(shù)的ETF產(chǎn)品數(shù)量已經(jīng)達(dá)到2867只,總計(jì)管理規(guī)模達(dá)1.36萬(wàn)億美元。從國(guó)內(nèi)看,我國(guó)早在2004年11月就推出滬深交易所首支ETF一上證50ETF,與歐美發(fā)達(dá)國(guó)家相比,我國(guó)ETF發(fā)展比較緩慢,在2004—2009年間,兩市總共只有5只ETF掛牌交易。但是這一局面從2009年起開(kāi)始出現(xiàn)變化,滬深交易所不斷的推出一系列創(chuàng)新型ETF基金產(chǎn)品,我國(guó)的ETF迎來(lái)難得的發(fā)展機(jī)遇。截止到2012年2月,兩市的ETF迅速擴(kuò)容到37只。在我國(guó)發(fā)展ETF產(chǎn)品具有重大的現(xiàn)實(shí)意義。首先,ETF的發(fā)展壯大有助于完善我國(guó)基金業(yè)的產(chǎn)品體系；其次,ETF能夠活躍和穩(wěn)定市場(chǎng)；最后,ETF提供了一種有效的套利手段。本部分把研究重點(diǎn)放在ETF的績(jī)效評(píng)估上。國(guó)外對(duì)于ETF績(jī)效評(píng)價(jià)的文獻(xiàn)數(shù)量眾多,它們大多是從追蹤誤差、折溢價(jià)水平、產(chǎn)品定價(jià)以及套利機(jī)制等幾個(gè)方面出發(fā),對(duì)ETF與傳統(tǒng)指數(shù)基金,開(kāi)放式偏股型基金進(jìn)行對(duì)比研究。從研究結(jié)論看,ETF由于在交易成本以及稅收效率等方面對(duì)比共同基金有很大優(yōu)勢(shì),因而能夠取得較好的收益；ETF的追蹤誤差是很微小的,交易成本、抽樣復(fù)制、成份股的變化、現(xiàn)金替代、紅利發(fā)放等因素是造成追蹤誤差的主要原因；紅利和資本回報(bào)是造成ETF出現(xiàn)折溢價(jià)的主要原因,而美國(guó)國(guó)內(nèi)型ETF折溢價(jià)較小,較之國(guó)際性ETF運(yùn)作的更有效率,套利機(jī)會(huì)以及市場(chǎng)的投資回報(bào)會(huì)對(duì)ETF的折溢價(jià)幅度產(chǎn)生影響,反過(guò)來(lái),ETF的折溢價(jià)交易又會(huì)產(chǎn)生相應(yīng)的套利機(jī)會(huì)；樣本股的調(diào)整產(chǎn)生的市場(chǎng)沖擊成本會(huì)造成收益率的波動(dòng),進(jìn)而影響ETF的市場(chǎng)表現(xiàn)。而國(guó)內(nèi)的研究則大多局限在ETF追蹤誤差或者折溢價(jià)水平的研究上,評(píng)估的樣本基金較少,樣本區(qū)間較短,研究方法單一,并不能對(duì)ETF的整體績(jī)效水平進(jìn)行有效的評(píng)估。 第二部分,主要介紹ETF的起源,ETF與其它基金產(chǎn)品的界定,以及運(yùn)作的理論基礎(chǔ),最后引入跨境ETF產(chǎn)品的介紹。從歷史上看,ETF的產(chǎn)生是金融中介服務(wù)機(jī)構(gòu)為大型客戶提供對(duì)沖交易工具而創(chuàng)設(shè)出來(lái)的。一方面,一些大的機(jī)構(gòu)投資者希望通過(guò)一次性的買(mǎi)賣(mài)報(bào)價(jià)實(shí)現(xiàn)一攬子股票組合的交易,并將其作為對(duì)沖工具與其它風(fēng)險(xiǎn)工具配合使用；另一方面,隨著市場(chǎng)的變化和產(chǎn)品創(chuàng)新的發(fā)展,一些中小投資者也對(duì)這種投資工具產(chǎn)生需求。于是,在市場(chǎng)需求下,這種“標(biāo)準(zhǔn)化的產(chǎn)品”出現(xiàn)了,如SuperUnits、SuperShares、Optimized Portfolios (OPALS)等,都是以某一個(gè)特定的股票指數(shù)為基準(zhǔn)指數(shù),并以一攬子股票組合為基礎(chǔ)而設(shè)立起來(lái)的。這種“標(biāo)準(zhǔn)化的產(chǎn)品”是在傳統(tǒng)指數(shù)基金、開(kāi)放式基金和封閉式基金的基礎(chǔ)上發(fā)展起來(lái)的一種混合性基金產(chǎn)品。它既具有傳統(tǒng)指數(shù)基金、開(kāi)放式基金和封閉式基金的基本屬性,同時(shí)又具有自身的特性。ETF的理論發(fā)展過(guò)程中,先后出現(xiàn)了均值一方差模型,資本資產(chǎn)定價(jià)模型,套利定價(jià)模型以及有效市場(chǎng)理論,最終確立了ETF的理論基礎(chǔ)。近期,上交所,深交所和港交所合作欲推出跨市場(chǎng)跨境ETF,而且基本準(zhǔn)備就緒。于是,隨著行業(yè)ETF、主題ETF、大中小盤(pán)ETF等迅速發(fā)展,不斷完善之后,更多的ETF產(chǎn)品即將進(jìn)入投資者的視野。 第三部分,主要是對(duì)ETF與傳統(tǒng)指數(shù)基金,開(kāi)放式基金的績(jī)效進(jìn)行對(duì)比分析。通過(guò)搜集大量的文獻(xiàn)和數(shù)據(jù)資料,首先采用經(jīng)典基金績(jī)效評(píng)估方法中的夏普指數(shù)對(duì)ETF與傳統(tǒng)指數(shù)基金,開(kāi)放式偏股型基金的績(jī)效進(jìn)行對(duì)比研究,研究的樣本涵蓋了2011年1月10日—2012年1月10日之間具有可比條件的20只ETF,22只傳統(tǒng)指數(shù)基金以及24只開(kāi)放式偏股型基金。實(shí)證研究發(fā)現(xiàn)：(1)ETF基金的績(jī)效明顯優(yōu)于傳統(tǒng)指數(shù)型基金以及開(kāi)放式偏股型基金；(2)與對(duì)應(yīng)的跟蹤同一指數(shù)標(biāo)的的傳統(tǒng)指數(shù)基金相比,也有更好的績(jī)效；(3)與大盤(pán)指數(shù)相比,具有超越大盤(pán)指數(shù)的表現(xiàn)。接著,為了進(jìn)一步說(shuō)明樣本之間的績(jī)效考核情況,采用信息比率深入分析,通過(guò)建立基金收益率的一元線性回歸模型,從回歸結(jié)果中選取若干參數(shù),并結(jié)合三大經(jīng)典績(jī)效評(píng)估方法以及信息比率,再次論證ETF基金績(jī)效優(yōu)于其它基金品種,并且通過(guò)T統(tǒng)計(jì)量檢驗(yàn)方法,增加結(jié)論的有效性。我國(guó)境內(nèi)ETF與傳統(tǒng)指數(shù)型基金,開(kāi)放式偏股型基金相比,有著更好的投資績(jī)效。這個(gè)結(jié)論不僅在牛市中得到檢驗(yàn),而且在熊市中也是如此,這在很大程度上是由于ETF自身的一些特性所決定的,它能夠完全復(fù)制或抽樣復(fù)制標(biāo)的指數(shù)(招募說(shuō)明書(shū)規(guī)定一般要保證95%以上的股票倉(cāng)位,實(shí)際這一比例經(jīng)常會(huì)達(dá)到97%甚至更高),這使得它對(duì)于標(biāo)的指數(shù)能夠保證最小的跟蹤誤差,從而達(dá)到擬合指數(shù)的目的,至少取得市場(chǎng)平均收益。目前我國(guó)股票市場(chǎng)正處于弱式有效向半強(qiáng)式有效過(guò)渡的狀態(tài),這決定了基本分析方法仍然可能獲得超額收益,而我國(guó)目前發(fā)行的ETF跟蹤的指數(shù)標(biāo)的大多是滬深大盤(pán)指數(shù),藍(lán)籌風(fēng)格指數(shù),這些指數(shù)中的標(biāo)的股票具備業(yè)績(jī)優(yōu)良、分紅派息率高、細(xì)分行業(yè)領(lǐng)先、股價(jià)走勢(shì)穩(wěn)定、市場(chǎng)形象良好等特點(diǎn),所以從它們當(dāng)中選股一般會(huì)帶來(lái)很好的市場(chǎng)回報(bào),而ETF跟蹤的是一攬子這樣的股票,在一級(jí)市場(chǎng)上進(jìn)行實(shí)物申購(gòu)和贖回,在二級(jí)市場(chǎng)上來(lái)回買(mǎi)賣(mài)交易,甚至進(jìn)行套利操作,這就相當(dāng)于只花費(fèi)很少的錢(qián),很低的交易費(fèi),就可以取得相應(yīng)的ETF份額,事實(shí)上也就取得了跟蹤指數(shù)的標(biāo)的股票,這樣一方面避免了來(lái)回買(mǎi)賣(mài)股票導(dǎo)致的高額交易費(fèi)以及“T+1”交易制度帶來(lái)的市場(chǎng)風(fēng)險(xiǎn),另一方面還可以有效減少機(jī)構(gòu)投資者羊群效應(yīng)造成的市場(chǎng)追漲殺跌行為,穩(wěn)定市場(chǎng)情緒。 第四部分,本文對(duì)ETF內(nèi)部的績(jī)效進(jìn)行評(píng)估。分別選取半年期、一年期、二年期、三年期的ETF作為樣本研究對(duì)象進(jìn)行實(shí)證分析。結(jié)果表明：滬深兩市運(yùn)行中的ETF表現(xiàn)出一定的業(yè)績(jī)分化與趨同。具體來(lái)說(shuō),上海證券交易所運(yùn)行中的ETF與深圳證券交易所運(yùn)行中的ETF業(yè)績(jī)總體差異較大,而如果考慮到上交所內(nèi)部ETF,則這種差異與趨同現(xiàn)象更加明顯,即跟蹤大盤(pán)藍(lán)籌指數(shù)的ETF業(yè)績(jī)表現(xiàn)趨同,而它同時(shí)與跟蹤中小盤(pán)成長(zhǎng)指數(shù)的ETF業(yè)績(jī)表現(xiàn)存在一定差異。產(chǎn)生這種現(xiàn)象的原因要追溯到ETF的本源,即它所跟蹤的標(biāo)的指數(shù)的多元化。這種多元化更多的導(dǎo)致ETF的業(yè)績(jī)出現(xiàn)分化。實(shí)證研究發(fā)現(xiàn)：大盤(pán)指數(shù)與中小盤(pán)指數(shù)之間在一定時(shí)期的變化率往往是有差別的。這表現(xiàn)在市場(chǎng)輪動(dòng)或者板塊輪動(dòng)趨勢(shì)下,兩者往往會(huì)出現(xiàn)蹺蹺板效應(yīng)；而當(dāng)市場(chǎng)出現(xiàn)單邊行情的時(shí)候,兩者的走勢(shì)也不盡相同。所以,跟蹤兩者指數(shù)的ETF之間由于擬合程度比較高,市場(chǎng)沖擊成本、交易成本以及運(yùn)作策略等方面也比較接近,所以它們之間也會(huì)表現(xiàn)出和指數(shù)同樣的差異。當(dāng)然,如果是數(shù)只跟蹤大盤(pán)指數(shù)或者中小盤(pán)指數(shù)的ETF,那么它們之間的業(yè)績(jī)會(huì)表現(xiàn)出趨同的特征,而且時(shí)間越短,這種特征越明顯。除此之外,指數(shù)樣本股的調(diào)整以及ETF的復(fù)制程度都會(huì)造成ETF之間的業(yè)績(jī)分化。 綜合以上分析,我們可以得出結(jié)論：考慮風(fēng)險(xiǎn)調(diào)整收益法對(duì)ETF績(jī)效進(jìn)行評(píng)估,ETF總體上看是優(yōu)于傳統(tǒng)指數(shù)基金以及開(kāi)放式偏股型基金的投資品種。這就對(duì)個(gè)人或者機(jī)構(gòu)投資者有一定的啟示,即：主動(dòng)型投資需要花費(fèi)大量的時(shí)間和交易成本,而且由于擇時(shí)和擇股能力的不同使得投資結(jié)果充滿不確定性,而作為被動(dòng)型投資的ETF,它一方面像指數(shù)型基金一樣跟蹤復(fù)制指數(shù),充分分享股市的平均收益,同時(shí)交易費(fèi)用更低,跟蹤誤差更�。涣硪环矫婕缺苊夥忾]式基金大幅折價(jià)的問(wèn)題,又能夠在一級(jí)市場(chǎng)上申購(gòu)或者贖回,在二級(jí)市場(chǎng)上掛牌買(mǎi)賣(mài),并進(jìn)行套利操作。這樣,對(duì)廣大的投資者來(lái)說(shuō),投資ETF是一個(gè)非常的好的選擇。
[Abstract]:ETF, or transactional open-end index funds, combines the advantages of open-end funds, closed-end funds and traditional index funds. Investors can either buy or redeem ETF shares in the primary market or buy and sell ETF shares in the secondary market. The existence of an arbitrage mechanism enables ETFs to avoid the widespread discount problem of closed-end funds. ETFs usually track specific indices with less tracking error than traditional index funds. In addition, ETFs have strong liquidity and high transparency. Strength, low cost and flexibility are considered to be one of the most important financial innovations of the past decade.
This article is composed of four parts and a summary. Its framework and contents are as follows:
The first part mainly introduces the background of this paper, the significance of the research, the literature review at home and abroad, and the innovation and shortcomings of this paper. King. In January 1993, the first ETF-SPDRs on the U.S. market were successfully issued and traded on the NYSE. The early ETF products were relatively single in type, and the system design was not perfect enough to be widely accepted by investors, so the development was relatively slow in the initial period. But after entering the 21st century, the ETF has developed rapidly in the world. By the end of August 2011, the number of ETFs tracking stocks, fixed income, commodities and their indexes has reached 2 867, with a total management scale of $1.36 trillion. There were only five ETFs listed in the two markets during 2009. But this situation has changed since 2009. The Shanghai and Shenzhen Stock Exchanges have continuously launched a series of innovative ETF products, and China's ETFs have a rare opportunity for development. By February 2012, the ETFs of the two markets have expanded rapidly to 37. The development of ETF products in China is of great significance. First of all, the development of ETF helps to improve the product system of China's fund industry; secondly, ETF can activate and stabilize the market; lastly, ETF provides an effective arbitrage tool. This part focuses on the performance evaluation of ETF. There are many literatures on the performance evaluation of ETF abroad, most of them are tracked. Based on error, discount premium level, product pricing and arbitrage mechanism, this paper compares ETF with traditional index funds and open-end partial equity funds. Trading costs, sample replication, changes in constituent stocks, cash substitution, dividend payments and other factors are the main causes of tracking errors; dividends and capital returns are the main causes of discount premiums in the ETF, while the United States domestic ETF discount premium is smaller, more efficient than international ETF operations, arbitrage opportunities and The return on investment in the market will affect the discount premium of ETF. Conversely, the discount premium trade of ETF will produce corresponding arbitrage opportunities; the market impact cost caused by the adjustment of sample stocks will cause the fluctuation of the return rate, which will affect the market performance of ETF. However, most domestic studies are limited to ETF tracking error or discount premium. On the level of research, the evaluation of the sample fund is less, the sample interval is shorter, the research method is single, can not effectively evaluate the overall performance level of ETF.
The second part mainly introduces the origin of ETF, the definition of ETF and other fund products, as well as the theoretical basis of operation, and finally introduces cross-border ETF products. One-off trading quotation realizes the trading of a portfolio of stocks and uses it as a hedging tool in conjunction with other risk instruments. On the other hand, with the changes in the market and the development of product innovation, some small and medium-sized investors also have demand for this investment tool. Therefore, in the market demand, this "standardized product" SuperUnits, SuperShares, Optimized Portfolios (OPALS), etc., have emerged as benchmark indices based on a particular stock index and based on a portfolio of stocks. It has the basic attributes of traditional index funds, open-end funds and closed-end funds, but also has its own characteristics. In the theoretical development of ETF, there have been one-way difference model, capital asset pricing model, arbitrage pricing model and efficient market theory, and finally established the theoretical basis of ETF. Recently, the Shanghai Stock Exchange, the Shenzhen Stock Exchange and the Hong Kong Stock Exchange cooperate to launch cross-market cross-border ETF, and the basic preparations are ready.
The third part is mainly about the comparative analysis of the performance of ETF and traditional index funds and open-end funds. Through collecting a large number of literature and data, the paper firstly compares the performance of ETF with traditional index funds and open-end partial equity funds by using Sharp index of classical fund performance evaluation methods. The sample covers the study. From January 10, 2011 to January 10, 2012, there are 20 ETFs, 22 traditional index funds and 24 open-end partial equity funds with comparable conditions. Gold also has better performance than the market index. (3) Compared with the market index, it has a performance that surpasses the market index. Then, in order to further explain the performance appraisal between the samples, we use the information ratio analysis, through the establishment of a unitary linear regression model of fund returns, select a number of parameters from the regression results, combined with the three classics. The performance evaluation method and information ratio prove that the performance of ETF fund is superior to that of other fund types again, and increase the validity of the conclusion by T-statistics test method. In bear markets, too, this is largely determined by the ETF's own characteristics, which can replicate or sample the underlying index completely (the prospectus stipulates that more than 95% of the stock position is normally guaranteed, often up to 97% or more), making it the most guaranteed for the underlying index. At present, China's stock market is in a state of transition from weak efficient to semi-strong efficient, which determines that the basic analysis method is still possible to obtain excess returns, while most of the ETFs issued in China follow the index of Shanghai and Shenzhen stock markets. Blue-chip Style Index. The underlying stocks in these indices have the characteristics of good performance, high dividend payout rate, leading industry segmentation, stable stock price trend, and good market image. Therefore, selecting stocks from them will generally bring good market returns, while ETF tracks a package of such stocks and makes physical purchases in the primary market. And redemption, trading back and forth in the secondary market, or even arbitrage operations, which is equivalent to only a small amount of money, very low transaction costs, you can get the corresponding ETF share, in fact, also obtained the tracking index of the underlying stock, so on the one hand to avoid trading back and forth caused by high transaction costs and "T + 1" payment. On the other hand, it can effectively reduce the market risk caused by the herding effect of institutional investors and stabilize market sentiment.
In the fourth part, this paper evaluates the internal performance of ETFs, and selects six-month, one-year, two-year and three-year ETFs as the samples for empirical analysis. The overall performance of ETFs in the operation of exchanges varies greatly, and if the internal ETFs of the Shanghai Stock Exchange are taken into account, the difference and convergence phenomenon is more obvious, that is, the performance of ETFs tracking the large blue-chip index converges, and it is also different from the performance of ETFs tracking the small and medium-sized stock growth index. This kind of diversification leads to the divergence of the ETF's performance. Empirical research finds that the rate of change between the large index and the small and medium-sized index is often different in a certain period of time. This shows that under the market rotation or the plate rotation trend, the two tend to appear seesaw. So the ETFs that track the two indices also show the same differences as the indices because of their high degree of fit, market impact costs, transaction costs and operational strategies. In addition, the adjustment of sample stocks and the degree of replication of ETFs will cause the performance differentiation between ETFs.
Based on the above analysis, we can draw a conclusion: considering the risk-adjusted return method to evaluate the performance of ETF, ETF is generally superior to the traditional index funds and open-end equity-biased funds. As a passive investment, ETF, on the one hand, tracks and replicates the index like an index fund to fully share the average return of the stock market, while trading costs are lower and tracking errors are smaller; on the other hand, it avoids large discounts of closed-end funds. Price problem, and can be bought or redeemed in the primary market, listed in the secondary market trading, and arbitrage operations. Thus, for the majority of investors, investment ETF is a very good choice.
【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F832.51;F224

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